Unzip the Theta Proxy package
Then, you have to copy the Theta Proxy Add-In to some location on your computer. A good location might be the MS Office standard location for Add-Ins, but other locations are good, too.
The standard location are
MS Excel 2007
C:\Program Files\Microsoft Office\Office12\Library
MS Excel 2010
C:\Program Files (x86)\Microsoft Office\Office14\ADDINS
Then, you install the Add-In following these steps